FORM 4 Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940

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1. Name and Address of Reporting Person * MARLON ANTHONY M MD   2. Issuer Name and Ticker or Trading Symbol SIERRA HEALTH SERVICES INC [SIE] 5. Relationship of Reporting Person(s) to Issuer (Check all applicable) __X__ Director _____ 10% Owner __X__ Officer (give title below) _____ Other (specify below) COB, CEO and President (Last) (First) (Middle) 2724 N. TENAYA WAY 3. Date of Earliest Transaction (Month/Day/Year) 06/01/2006 (Street) LAS VEGAS, NV 89128 4. If Amendment, Date Original Filed(Month/Day/Year) 6. Individual or Joint/Group Filing(Check Applicable Line) _X_ Form filed by One Reporting Person ___ Form filed by More than One Reporting Person (City) (State) (Zip) Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned

1.Title of Security (Instr. 3) 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code (Instr. 8) 4. Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5) 5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4) 6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4) 7. Nature of Indirect Beneficial Ownership (Instr. 4) Code V Amount (A) or (D) Price Common Stock 06/01/2006   M   29,544 A $ 6.305 157,544 D   Common Stock 06/01/2006   S(1)   29,544 D $ 41.5856 128,000 D   Common Stock               305,296 I By the AMM & RM Family Limited Partnership (2) Common Stock               3,000 I By the AMRM Family Partners Ltd. (2) Common Stock               1,439,630 I By the Marlon Family Trust (2) Common Stock               750,000 I By the Anthony M. Marlon Charitable Remainder Trust (2) Common Stock               750,000 I By the Renee Marlon Charitable Remainder Trust (2) Common Stock               887,324 I By the AMRM Family Trust (2) Common Stock               212,830 I By 401(k) Plan

Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
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Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)

1. Title of Derivative Security (Instr. 3)

2. Conversion or Exercise Price of Derivative Security

3. Transaction Date (Month/Day/Year)

3A. Deemed Execution Date, if any (Month/Day/Year)

4. Transaction Code (Instr. 8)

5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4, and 5)

6. Date Exercisable and Expiration Date (Month/Day/Year)

7. Title and Amount of Underlying Securities (Instr. 3 and 4)

8. Price of Derivative Security (Instr. 5)

9. Number of Derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)

10. Ownership Form of Derivative Security: Direct (D) or Indirect (I) (Instr. 4)

11. Nature of Indirect Beneficial Ownership (Instr. 4)

Code

V

(A)

(D)

Date Exercisable

Expiration Date

Title

Amount or Number of Shares

Employee Stock Option (right to buy) (3)

$ 6.305

06/01/2006

M

29,544

04/14/2004(4)

04/13/2013

Common Stock

29,544

$ 0

0

D

Reporting Owners

Reporting Owner Name / Address	Relationships
	Director	10% Owner	Officer	Other
MARLON ANTHONY M MD 2724 N. TENAYA WAY LAS VEGAS, NV 89128	X		COB, CEO and President

Signatures

Anthony M. Marlon, M.D./Jayne Primaky, POA		06/02/2006
**Signature of Reporting Person		Date

Explanation of Responses:

*	If the form is filed by more than one reporting person, see Instruction 4(b)(v).
**	Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(1)	Sale under Rule 10b5-1 Plan
(2)	This report shall not be deemed an admission that the Reporting Person is the beneficial owner of, or has a pecuniary interest in, shares of Common Stock held by the respective trusts for purposes of Section 16 or any other purpose.
(3)	Exercise of options granted in consideration for services under the Company's 1995 Long-Term Incentive Plan, which meets the requirements of, and which transactions are exempted by, Rule 16b-3 and Rule 16b-6(b).
(4)	Exercisable as to 33 1/3% on each of 4/14/04, 4/14/05 and 4/14/06.

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